臺灣博碩士論文加值系統

中國政府為了保護只對本國居民開放的A股不受外資影響，於2001年2月19日前，A、B股市場為完全區隔的狀態。嚴格的控管下造成許多問題，且中國加入世界貿易組織後，承諾逐漸開放金融市場，故於2001年2月19日，開放B股市場讓本國居民投資，期望增進B股市場品質。又於2002年11月宣布合格之境外機構投資人進入A股市場投資。在雙向的自由化政策下，本研究使用追蹤資料模型探討哪些變數將影響A、B股之相關係數及引進合格境外機構投資人後對A、B股市間互動程度之影響。

本研究實證結果顯示，利率差、相對周轉率和市場氛圍不論在引進合格境外機構投資人前後皆對相關係數有顯著影響。而折溢價、相對周轉率、S&P500指數波動、市場氛圍和公司市值在引進合格境外機構投資人後，對相關係數之影響更敏感。A、B股市間之互動程度則更強，表示投資人在引進合格境外機構投資人後，可利用A、B股之投資組合來降低風險。

Under strict foreign exchange controls and protecting A share market from affected by foreign capital, A and B share market were completely segmented before Feb. 19, 2001. On one hand, the severe regulation had led to some problems in the B share market. On the other hand, after participating in World Trade Organization, China authorities honored their commitments to opening the financial markets. China Securities Regulatory Commission announced opening B share market to the domestic citizens On Feb. 19, 2001. Further, State Administration of Foreign Exchange formulated QFII program to introduce foreign investments on Nov. 2002. Under bilateral liberalization, our purpose is to investigate what factors would affect the correlations between A and B share of individual firms and observe influences of these factors after implementation of QFII program.

Our empirical results evidenced that interest rate differential, relative turnover rate, relative return volatility and market sentiment had impacts on correlation no matter before or after introduction of QFIIs. And after QFII program, premium, relative turnover rate, volatility of S&P 500 index, market sentiment and market capitalization become more sensitive to correlation. Additionally, the interaction between A and B share markets became stronger which implied that investors could take advantage of portfolio of A and B share to diversify and reduce the portfolio risk after implementation of QFII program.

CONTENTS I
LIST OF TABLES II
LIST OF FIGURES III
I. INTRODUCTION 4
1.1 BACKGROUND AND MOTIVATION OF THE RESEARCH 4
1.2 PURPOSES OF THE RESEARCH 6
1.3 STRUCTURE OF THE THESIS 6
II. LITERATURE REVIEW 8
2.1 LIBERALIZATION IN EMERGING MARKETS 9
2.2 LIBERALIZATION IN CHINA’S MARKET 10
III. METHODOLOGY – PANEL MODEL 12
3.1 UNIT ROOT TEST OF PANEL DATA 12
3.2 BASIC CONCEPT OF PANEL DATA 13
3.3 SELECTION OF PANEL DATA MODEL 15
3.4 ESTABLISHMENT OF EMPIRICAL MODEL 17
IV. EMPIRICAL RESULTS AND ANALYSIS 22
4.1 DATA DESCRIPTION 22
4.1.1 Unit root test 31
4.1.2 Selection of models 33
4.2 EMPIRICAL RESULTS 34
V. CONCLUSIONS AND SUGGESTIONS 36
REFERENCES 37

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